CFDP 1767

Identifying Finite Mixtures in Econometric Models


Publication Date: September 2010

Revision Date: January 2013

Pages: 32


We consider partial identification of finite mixture models in the presence of an observable source of variation in the mixture weights that leaves component distributions unchanged, as is the case in large classes of econometric models. We first show that when the number J of component distributions is known a priori, the family of mixture models compatible with the data is a subset of a J(J – 1)-dimensional space. When the outcome variable is continuous, this subset is defined by linear constraints which we characterize exactly. Our identifying assumption has testable implications which we spell out for J = 2. We also extend our results to the case when the analyst does not know the true number of component distributions, and to models with discrete outcomes.


Exclusion restriction, Misclassified regressors, Nonparametric identification

JEL Classification Codes:  C14


Published in Quantitative Economics (March 2014), 5(1): 123-144 [DOI]